Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 7 7 8
Score 3.03 2.83 3.94
Market Cap (Millions USD) 975 943.68 968.7
Predicted Beta 2.53 2.55 2.52
Idiosyncratic Volatility 4.47 5.85 6.09

Annualized return and volatility

IYC
Annualized Return 0.0786
Annualized Std Dev 0.1926
Annualized Sharpe (Rf=0%) 0.4081

Row

Daily Return Statistics

IYC
Observations 4988.0000
NAs 126.0000
Minimum -0.0875
Quartile 1 -0.0050
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0063
Maximum 0.1091
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0121
Skewness -0.0040
Kurtosis 6.0010

Downside Risk

IYC
Semi Deviation 0.0087
Gain Deviation 0.0087
Loss Deviation 0.0092
Downside Deviation (MAR=210%) 0.0134
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.5310
Historical VaR (95%) -0.0193
Historical ES (95%) -0.0289
Modified VaR (95%) -0.0181
Modified ES (95%) -0.0281
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-02-04 -0.5310 944 455 489
2001-05-23 2003-03-12 2006-10-04 -0.4136 1373 460 913
2018-09-28 2018-12-24 2019-04-12 -0.2049 137 61 76
2000-07-17 2000-10-18 2001-05-21 -0.1895 217 68 149
2011-07-08 2011-08-08 2012-01-19 -0.1791 137 22 115

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYC
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 0.0 0.0 0.0 0.6 1.0 0.0 1.6
2001 -0.5 -1.6 0.0 2.1 0.0 0.0 -0.4 0.0 -1.1 1.1 0.0 0.0 -0.4
2002 -0.9 2.3 -1.3 1.6 0.0 -3.0 -2.9 0.0 2.1 1.5 0.0 0.0 -0.8
2003 0.0 0.0 -0.6 -0.4 0.0 0.1 -0.8 0.0 2.4 0.0 0.6 0.0 1.3
2004 0.0 1.2 -0.3 0.0 0.2 -1.2 0.0 0.2 1.1 0.2 1.8 0.0 3.1
2005 0.3 1.0 -1.2 0.0 0.7 0.1 0.2 -1.0 0.0 0.3 1.0 0.0 1.4
2006 0.5 0.7 0.0 0.0 1.4 0.0 -1.1 0.9 0.0 -1.1 -0.2 0.0 1.1
2007 0.2 -0.3 0.0 0.2 0.9 0.0 0.3 0.0 0.5 -2.5 0.0 0.0 -0.7
2008 1.8 0.0 3.9 2.5 0.0 0.2 -0.5 0.0 -1.0 0.0 -7.4 0.0 -1.0
2009 0.0 0.0 1.8 -0.4 3.8 0.4 0.0 -1.5 -1.8 0.0 1.3 0.0 3.5
2010 1.1 1.3 0.5 0.0 -1.6 0.8 0.0 3.2 0.1 -0.1 1.8 0.0 7.3
2011 1.5 -1.6 0.7 0.0 -2.0 1.7 -0.7 -1.2 0.0 -2.0 0.1 0.0 -3.4
2012 0.8 0.5 0.0 0.4 -2.7 0.0 -0.6 0.0 0.1 0.9 0.0 0.0 -0.7
2013 0.8 0.6 -0.5 -0.2 0.0 0.7 1.3 0.0 0.9 0.4 0.0 0.0 4.1
2014 0.0 0.0 1.2 0.3 0.0 1.0 -0.1 0.0 -1.5 0.0 -1.0 0.0 -0.1
2015 0.0 0.0 -0.6 1.4 0.2 1.0 0.0 -2.2 0.6 0.0 1.1 0.0 1.3
2016 0.6 2.1 0.6 0.0 0.2 0.8 0.1 0.3 0.0 -0.7 -0.2 0.0 3.8
2017 -0.2 0.8 0.0 0.2 1.1 0.0 0.4 0.3 0.0 0.1 -0.1 0.0 2.7
2018 -1.0 -1.1 0.0 0.2 0.5 0.0 -0.4 0.0 -0.3 2.0 0.0 0.0 -0.1
2019 -1.3 0.6 1.1 -0.8 0.0 0.8 -0.9 0.0 -0.7 0.5 0.0 0.2 -0.5

Row

Rolling Performance Chart

Snail Trail Chart